AmiBroker - XIV Code

[roboticinvesting]

Hi there,

I am trying to set up some code to trade XIV, which is the VelocitySHares Daily Inverse VIX Short. In real basic terms, here is what I am trying to achieve:

1. Buy XIV tomorrow at tomorrow's Close, when today's Low is > yesterday's Low
2. Sell XIV tomorrow at tomorrow's Close, when today's Low is < yesterday's Low

Basically, if you look at a chart, I want to buy the day after XIV has made a higher low. Inversely, I want to get out of that position the day after the XIV made a lower low than the day before.

Here is what I have coded so far but can't make it work. Seems simple but for the life of me I can't get it to act correctly. Anyone on this board able to help - is it a simple thing I missed or am I approaching it all wrong?

/////* Strategy : basic higher lows
/////* 1.Buy tomorrow at tomorrow's Close, when today's Low is > yesterday's Low
/////* 2.Sell tomorrow at tomorrow's Close, when today's Low is < yesterday's Low

SetFormulaName("HigherLowsStrategy"); /*name it for backtest report identification*/
SetOption( "initialequity", 5000 ); /* starting capital */
SetOption( "MaxOpenPositions", 1 );
SetOption( "CommissionMode", 3 ); /* set commissions AND costs as $ per trade */
SetOption( "CommissionAmount", 0.005 ); /* commissions AND cost */
//SetTradeDelays(1,1,1,1); /* Buy and sell on next bar - will be close due to BuyPrice=SellPrice = Close */

YesterdaysLow = Ref( L, -1 );
TodaysLow = L;

Buy = Ref(ROC(L, 1 ) > 0, -1 );
Sell = TodaysLow < YesterdaysLow;

BuyPrice = SellPrice = Close;

Buy = ExRem(Buy,Sell);
Sell = ExRem(Sell,Buy);

 

[trash]

Hi there,

I am trying to set up some code to trade XIV, which is the VelocitySHares Daily Inverse VIX Short. In real basic terms, here is what I am trying to achieve:

1. Buy XIV tomorrow at tomorrow's Close, when today's Low is > yesterday's Low
2. Sell XIV tomorrow at tomorrow's Close, when today's Low is < yesterday's Low

Basically, if you look at a chart, I want to buy the day after XIV has made a higher low. Inversely, I want to get out of that position the day after the XIV made a lower low than the day before.

Here is what I have coded so far but can't make it work. Seems simple but for the life of me I can't get it to act correctly. Anyone on this board able to help - is it a simple thing I missed or am I approaching it all wrong?

/////* Strategy : basic higher lows
/////* 1.Buy tomorrow at tomorrow's Close, when today's Low is > yesterday's Low
/////* 2.Sell tomorrow at tomorrow's Close, when today's Low is < yesterday's Low

SetFormulaName("HigherLowsStrategy"); /*name it for backtest report identification*/
SetOption( "initialequity", 5000 ); /* starting capital */
SetOption( "MaxOpenPositions", 1 );
SetOption( "CommissionMode", 3 ); /* set commissions AND costs as $ per trade */
SetOption( "CommissionAmount", 0.005 ); /* commissions AND cost */
//SetTradeDelays(1,1,1,1); /* Buy and sell on next bar - will be close due to BuyPrice=SellPrice = Close */

YesterdaysLow = Ref( L, -1 );
TodaysLow = L;

Buy = Ref(ROC(L, 1 ) > 0, -1 );
Sell = TodaysLow < YesterdaysLow;

BuyPrice = SellPrice = Close;

Buy = ExRem(Buy,Sell);
Sell = ExRem(Sell,Buy);

Your sell rule is not correct

Either you do

...
....

YesterdaysLow = Ref( L, -1 );
TodaysLow = L;

Buy = Ref(ROC(L, 1 ) > 0, -1 );
Sell = Ref( TodaysLow < YesterdaysLow, -1 );

BuyPrice = SellPrice = Close;

Buy = ExRem(Buy,Sell);
Sell = ExRem(Sell,Buy);

or

....
....

Buy = Ref( ROC(L, 1 ) > 0, -1 );
Sell = Ref( ROC(L, 1 ) < 0, -1 );

BuyPrice = SellPrice = Close;

Buy = ExRem(Buy,Sell);
Sell = ExRem(Sell,Buy);

or

...
....

SetTradeDelays(1,1,1,1); /* Buy and sell on next bar - will be close due to BuyPrice=SellPrice = Close */

Buy = ROC(L, 1 ) > 0;
Sell = ROC(L, 1 ) < 0;

BuyPrice = SellPrice = Close;

Buy = ExRem(Buy,Sell);
Sell = ExRem(Sell,Buy);

or

....

 

[trash]

As aside it is better practice to call a function just one time.

How to do that? We store it to a variable.
Why are we doing that? We do it in order to keep our code operating as fast as possible and for better maintenance.

SetTradeDelays(1,1,1,1); /* Buy and sell on next bar - will be close due to BuyPrice=SellPrice = Close */

myRoc = ROC( L, 1 );

Buy = myROC > 0;
Sell = myROC < 0;

BuyPrice = SellPrice = Close;

Buy = ExRem(Buy,Sell);
Sell = ExRem(Sell,Buy);

Now in above one it is just called two times but you will see big differences once when your codes will become hundreds/thousands/... of lines long. So better get into the habit of doing things the "pro way" as early as possible because in the end it is YOU who will benefit from it.

 

[roboticinvesting]

Thank you so much for the help - and going the extra mile on coding it more efficiently. I don't have much coding in my background, so this is very helpful. Was able to run this in AB - ok return but the drawdown is high. Will see if I can work on that to improve it.

Thanks again.